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Distribution of maximum loss of fractional Brownian motion with drift

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dc.contributor.coauthorVardar-Acar, Ceren
dc.contributor.departmentDepartment of Mathematics
dc.contributor.kuauthorFaculty Member, Çağlar, Mine
dc.contributor.schoolcollegeinstituteCollege of Sciences
dc.date.accessioned2024-11-09T12:45:14Z
dc.date.issued2013
dc.description.abstractIn this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H >= 1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0, t] behaves like the tail of the marginal distribution at time t.
dc.description.fulltextYES
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.issue12
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuTÜBİTAK
dc.description.sponsorshipScientific and Technological Research Council of Turkey (TÜBİTAK)
dc.description.versionAuthor's final manuscript
dc.description.volume83
dc.identifier.doi10.1016/j.spl.2013.09.008
dc.identifier.embargoNO
dc.identifier.filenameinventorynoIR00248
dc.identifier.issn0167-7152
dc.identifier.quartileQ4
dc.identifier.scopus2-s2.0-84884961714
dc.identifier.urihttps://hdl.handle.net/20.500.14288/2433
dc.identifier.wos327920700019
dc.keywordsMaximum drawdown
dc.keywordsMaximum loss
dc.keywordsFractional brownian motion
dc.keywordsLarge deviation
dc.keywordsGaussian process
dc.keywordsDrawdown
dc.keywordsSupremum
dc.language.isoeng
dc.publisherElsevier
dc.relation.grantno110T674
dc.relation.ispartofStatistics and Probability Letters
dc.relation.urihttp://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/1273
dc.subjectMathematics
dc.subjectStatistics
dc.subjectProbability
dc.titleDistribution of maximum loss of fractional Brownian motion with drift
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorÇağlar, Mine
local.publication.orgunit1College of Sciences
local.publication.orgunit2Department of Mathematics
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relation.isOrgUnitOfPublication.latestForDiscovery2159b841-6c2d-4f54-b1d4-b6ba86edfdbe
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